Pairs Trading: Performance of a Relative Value Arbitrage Rule
收藏NBER1999-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7032
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资源简介：
We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods
提供机构：
美国国家经济研究局
创建时间：
1999-03-01
